The contribution of wavelets to the analysis of economic and financial data

Abstract

After summarizing the properties of wavelets that are most likely to be useful in economic and financial analysis, the literature on the application of wavelet techniques in these fields is reviewed. Special attention is given to the potential for insights into the development of economic theory or the enhancement of our understanding of economic phenomena. The paper is concluded with a section containing speculations about the relevance of wavelet analysis to economic and financial time–series given the experience to date. This discussion includes some suggestions about improving our understanding and evaluation of forecasts using a wavelet approach.

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